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st: Spline Garch Model


From   Gabriel Nicolás Michelena <hmg@mrecic.gov.ar>
To   statalist@hsphsun2.harvard.edu
Subject   st: Spline Garch Model
Date   Mon, 31 Jan 2011 12:34:40 -0300 (ART)

Hi Statalisters,

Actually im working on the commodities volatility, and im really interested in the measure of long run volatility estimation proposed by Robert Engle ( http://economics.ucr.edu/seminars/fall05/econometrics/JoseGonzaloRangel12-9-05.pdf ). This is the spline garch model, and i didnt find the necesary program to run it in Stata or another package like Oxmetrics. Someone tried it before? Is there some ado for Stata?

I will aprecciate any help

Best Regards





--- Lic. Gabriel Michelena 


Centro de Economía Internacional. Ministerio de 
Relaciones Exteriores, Comercio Internacional y Culto Esmeralda 1212 - 2° Piso - 
Oficina 201 Ciudad Autónoma de Buenos Aires 


( C1007ABR ) Argentina 


Tel: (+5411) 4819-7000. Interno 
7485 


Fax: (+5411) 4819-7484 


URL: http://www.cei.gob.ar/ 


E-mail: hmg@mrecic.gov.ar 

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